Wages, profits and the international portfolio puzzle
Wages, profits and the international portfolio puzzle
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DOI：
10.1016/0014-2921(96)00009-8
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发表时间：
1996-02-01
影响因子：
2.8
通讯作者：
vanWincoop, E
中科院分区：
文献类型：
--
作者：
Bottazzi, L;Pesenti, P;vanWincoop, E
本文研究了人力资本回报率波动对国际资产组合构成的影响。我们采用国际投资组合选择的连续时间VAR模型，该模型允许工资率和资本回报之间的跨期相互作用。将该模型应用于大量经合组织国家，我们的发现说明了对国内证券的平均偏差约为30个百分点。当采用“基本面”方法根据总经营盈余数据计算国内资本回报时，以及当使用财务回报数据评估对一国生产资源的索取权的总体回报时，结果在数量上是相似的。
This paper investigates the impact of fluctuations in the return to human capital on the composition of international asset portfolios. We adopt a continuous-time VAR model of international portfolio choice which allows for intertemporal interactions between wage rates and capital returns. Applying the model to a large set of OECD countries, our findings account for an average bias of about 30 percentage points toward domestic securities. The results are quantitatively similar both when a 'fundamentals' approach is adopted to compute the returns to domestic capital from data on aggregate operating surpluses, and when data on financial returns are used to evaluate the overall payoff of a claim on a country's productive resources.